[Forum SIS] Seminar in Verona - Marco Bee (University of Trento)

[Luigi Grossi]

Dear all,

we are glad to invite you to the following Seminar:


                                          


Marco Bee - University of Trento


Realized Peaks over Threshold: a Time-Varying Extreme Value Approach with High-Frequency based Measures

Abstract: 

Recent contributions to the financial econometrics literature exploit high-frequency (HF) data to improve models for daily asset returns. We propose a new class of dynamic extreme value models that profit from HF data when estimating the tails of daily asset returns. Our Realized Peaks-Over-Threshold approach provides estimates for the tails of the time-varying conditional return distribution. An in-sample fit to the S&P 500 index returns suggests that HF data convey information on daily extreme returns beyond that included in low frequency (LF) data. Finally, out-of-sample forecasts of conditional risk measures obtained with HF measures outperform those obtained with LF measures.

 

Thursday, March 1, 12:30

 Sala Vaona (room 1.59), Via cantarane, 24, Verona

 

Further details can be found at http://www.dse.univr.it/?ent=seminario <http://www.dse.univr.it/?ent=seminario&id=4213&lang=it> &id=4213&lang=it

 

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Luigi Grossi

Department of Economics

University of Verona

Via Cantarane, 24

37219 Verona

Tel. +39 045 8028247

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